The purpose of this study is to investigate the nature and integration of Islamic stock markets across the Association of Southeast Asian Nations (ASEAN-5) countries for economic community (AEC) development.
Using samples of daily closing prices from 2009 to 2014 across ASEAN-5 countries, co-integration and Granger-causality tests were applied.
This research finds that Islamic capital markets across ASEAN-5 countries remain highly integrated despite the global financial crisis of 2008, and it also finds the integration strength between Jakarta Islamic Index -Indonesia and Bursa Malaysia Emas Sharia-Malaysia Islamic capital markets to be the most influential across ASEAN-5 countries, while MSCI-Philippine Islamic capital market is the most vulnerable across ASEAN-5 Islamic capital markets.
The overwhelming benefit of Islamic stock market integration across ASEAN-5 countries, and, even in a broader context, awaits further inquiry.
Islamic capital markets across ASEAN-5 countries are integrated regardless of the post-global financial crisis. This contributes to confirming cross-border integration policies, especially for AEC development.
The administrative and financial support from State Islamic University (UIN) Sunan Kalijaga Yogyakarta, Yogyakarta, Indonesia, especially from the Research and Community-Engagement Center (LPPM) 2015-2016, is gratefully acknowledged. Many thanks are sincerely due to the editors, anonymous reviewers, and also our colleagues at the Faculty of Islamic Economics and Business, UIN Sunan Kalijaga Yogyakarta, for their reviews and suggestions.
Qizam, I., Ardiansyah, M. and Qoyum, A. (2020), "Integration of Islamic capital market in ASEAN-5 countries: Preliminary evidence for broader benefits from the post-global financial crisis", Journal of Islamic Accounting and Business Research, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/JIABR-08-2019-0149Download as .RIS
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